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Published on: September 28, 2022
The COVID-19 pandemic: How important is face-to-face interaction for information dissemination?
Daniel Cahill1, Choy Yeing Chloe Ho1, Joey W Yang1
1Department of Accounting and Finance, University of Western Australia Business School, 35 Stirling Hwy, Crawley, WA 6009, Australia.
None:
Does face-to-face interaction still facilitate information transfer despite proliferating communication technologies? We use the COVID-19 collapse in such interactions to examine their influence on information flow in the stock market around earnings announcements. Using daily, county-level abnormal mobility of U.S. residents to proxy for face-to-face interaction, we find that firms located in counties with lower abnormal mobility experience a weaker immediate price reaction to earnings announcements and a larger post-announcement drift. Our findings suggest that lower face-to-face interactions dampen price discovery in financial markets, and that investor attention is a potential mechanism of this effect.
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